Only thing i have noticed with having it stream over the network is the phone usually has to create a temp copy and copy the file locally. So i think you are dealing with an Android issue, not a file explorer issue.

I think (i could be wrong) that is what DNLA is supposed to be for (when it is actually adopted by more manufacturers)

I realise this thread is getting on now, but there is an easy method of accessing shares (on a non-rooted) device, built in to the Android system, prior to JellyBean.

As lots of people may still be running earlier Android versions, here it is.

I suspect most people will want this so they can use dedicated Music / Video Apps to access files on their Network. Most Aps will invite you to choose your Music / Video folder, and then you have to indicate where it is on you Phone or Tablet. This can include network shares using the method below.

For Android 2.2, 'SMB' shares can be accessed by pointing the program on your device you wish to access files from, to:-
/mnt/sdcard/network/smb

Selecting this will bring up the Network shares available, e.g. 'WORKGROUP'. Then just navigate to the folder where your files are stored and make it your program's chosen storage folder.

For ICS (4.0) 'SMB' shares can be accessed using
/mnt/network/smb
Then following the instructions above.

For JellyBean (4.1) and above
Alas this functionality is not available to stock ROM users in 4.1 (JellyBean) and above, though why it was decided to remove it is beyond me. The only solutions are to Root your device, or if you are lucky find Apps that have SMB functions built into them, such as ES File Explorer.

These are 'No Root Needed' alternatives:-
Archos owners can use Archos Video or Archos Music for free. Both have SMB file access built in, and are available as paid apps too.

Audio Book fans can use Archos Music, but the drawback is it does not remember the last track accessed. There is however a free App called 'Network Audio Player' available, which works well as a music or book player. Neither have a 'Sleep Timer' function, but there are timer Apps that will add this if you want. I use 'Sleep Timer' by pboos.

I just went through my videos on my network share with ES File Explorer, using MX Player to play the movies. It plays avi, flv, mpg and wmv files, the only movie file types I have. It doesn't download them first, then play them, it plays them straight from the drive they're on, as if they were local files.